The Dutch stopper becomes the latest player to flee La Rosaleda, having penned on a three-year contract with the Eredivisie side, who recently missed out on the Champions League
The 32-year-old has agreed a three-year deal with the Rotterdam outfit, and he admitted that he is happy to be returning to the Eredivisie, where he can add experience to the youthful Stadionclub side that finished runners-up last season.
"I was playing abroad for six years and it was time for a return to Netherlands," Mathijsen told Voetbal International. "Then [technical director] Martin van Geel called to ask if I wanted to come to Feyenoord.
"This gave me a good feeling immediately. Feyenoord rose to the top last year and the club want to keep progressing.
"I want to be part of that. With my experience I hope to contribute to this group, but the leadership has to come naturally.
"There is some amazing talent at this club, and there is a reason why two more Feyenoord players have been called up to the national team this season.
"I am fit, but have only trained for three weeks. I will train with the team for the first time on Saturday, and then I will join up with the national team next week."
The former Hamburg defender only joined Malaga last summer as part of a spending spree backed by Qatari benefactor Abdullah Al-Thani, and he helped the Andalusians achieve a fourth-placed finish in 2011-12.
However, despite their qualification for the Champions League play-offs, they are currently experiencing serious financial problems, leading to a fire sale which has seen the likes of Santi Cazorla and Salomon Rondon also depart La Rosaleda.
Mathijsen, who has 82 caps under his belt for Netherlands, will replace Ron Vlaar, who recently departed De Kuip for Premier League side Aston Villa.